Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
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- Dilip B. Madan & Frank Milne, 1994.
"Contingent Claims Valued And Hedged By Pricing And Investing In A Basis,"
Wiley Blackwell, vol. 4(3), pages 223-245.
- Frank Milne & Dilip Madan, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Working Papers 1158, Queen's University, Department of Economics.
- Huang, Jing-zhi & Subrahmanyam, Marti G & Yu, G George, 1996. "Pricing and Hedging American Options: A Recursive Integration Method," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 277-300.
- Eydeland, A, 1994. "A Fast Algorithm for Computing Integrals in Function Spaces: Financial Applications," Computational Economics, Society for Computational Economics, vol. 7(4), pages 277-85.
- Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Eydeland, Alexander, 1996. "A Spectral Algorithm for Pricing Interest Rate Options," Computational Economics, Society for Computational Economics, vol. 9(1), pages 19-36, February.
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